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研究目标:利用高频数据准确估计和预测高维积分波动率矩阵,并将矩阵的预测值应用于资产投资组合的构造中。研究方法:通过保留p×p维已实现波动率矩阵的特征向量,对积分波动率矩阵的特征值进行预测,本文将积分波动率矩阵的估计和预测问题转化为p个一维积分波动率的估计和预测问题。研究发现:对高维已实现波动率矩阵过于发散的特征值进行调整能够提高矩阵估计的准确性;对资产收益率的积分波动率矩阵建立动态模型可以提高矩阵预测的精度。研究创新:将高维矩阵的估计和预测问题转化为矩阵特征向量的估计以及一维特征值的估计和预测问题;基于高频数据并建立资产收益率积分波动率矩阵的动态模型提高了资产投资组合的样本外表现。研究价值:本文提出的积分波动率矩阵估计和预测方法能够保证矩阵估计值和预测值的正定性;本文的预测方法能够提高矩阵的预测精度,能够在复杂的金融市场中构造低风险的资产组合。 相似文献
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文章详细介绍外汇市场微观结构理论的基本知识，介绍了这一领域的前沿课题及在国内进行研究面临的困难．并展望了该理论的前景。 相似文献
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微观金融市场中的买入一卖出差价可以分割为定单处理成本、存货控制成本和逆向选择成本(信息不对称成本)三种成本因素,本文将重点分析其中的逆向选择成本估计模型。在对流行的五种估计逆向选择成本的模型分别进行描述之后,同时对这五种逆向选择成本的估计模型进行了简单的评论。 相似文献
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市场微观结构理论也称市场微观结构经济学,是研究金融市场交易价格的形成、发现过程与交易运作机制的一个金融学分支.在传统的金融市场研究中,人们往往把金融资产价格作为一个宏观现象加以考察.但是从H.Demsetz于1968年发表了《交易成本》后,研究者对金融资产价格的考察角度转向金融市场运作的内在微观基础和金融资产买卖报价的价差关系.从微观角度来考察金融资产价格意味着可以将金融资产价格行为描述成经济主体最优化行为的结果. 相似文献
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炸药属于一种危险物品,在我们日常的生产和生活中遇到的较少,炸药属于违禁品,在平时的管理中有严格的要求,一般情况下运用到军事、矿山的开采、隧道的挖掘等场所,炸药的性能对其使用有着重要的影响,在对炸药研究的过程中,炸药微观上的变化必然会引起宏观上的变化,必然会对炸药的性能产生影响,最终会影响炸药的爆炸性能。 相似文献
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异质金融市场驱动的已实现波动率计量模型 总被引：1，自引：0，他引：1
本文根据金融高频数据的典型特征和异质市场假说,首次提出了异质市场驱动因素的分层结构,并借此构建了已实现波动率的HAR-L-M计量模型。模拟分析显示出该模型的合理性和优越性,样本内、外预测都说明HAR-L-M模型优于现有已实现波动率HAR模型和ARFIMA模型。最后的实证分析结果显示,中国市场的异质程度要强于美国证券市场,同时个股更容易受多种异质驱动因素的影响,个股稳定性要比股指差。 相似文献
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汇率决定市场微结构理论研究目的是揭示外汇市场微观结构因素或外汇市场交易层面因素对汇率短期运动的影响.近年来该领域理论成果相对集中于指令流与汇率决定的理论与实证方面的研究,文章就其进展进行分类回顾,对相关文献进行总体评价,最后对该领域的理论发展前景提出观点. 相似文献
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真实波动率是无法观测得到的，但已实现波动率是对真实波动率的一致性估计，由B—S公式计算而得的隐含波动率也是真实波动率的一个估计。文章着重介绍已实现波动率和隐含波动率的计算并在中国股票及权证市场进行实证分析，发现隐含波动率作为真实波动率的刻画具有很大的偏差，有力地说明我国权证市场上的高投机性。 相似文献
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一、金融市场微观结构理论的发展和最新成果 金融市场微观结构理论的思想源于古典价格理论,最早可以追溯到威廉·配第(WilliamPetty)和马歇尔(AMarshall)等人,但其正式诞生却是以1968年H·Demsetz发表的论文为标志的.Demsetz在该文中研究了证券市场上交易价格的形成与变化:从交易供给方的卖出报价和需求方的买入报价之间的差价形成过程出发,第一次提出了一个买卖报价价格差的模型.Demsetz认为,之所以买卖会出现报价差是因为买卖双方供求之间存在不平衡,买卖报价差其实是在有组织的市场中为交易的即刻性(immediacy)支付的加成.在此之后,金融市场微观结构理论开始逐渐被人们所认识,并随着时间的过去,其对于理解金融资产价格的形成从而完成市场交易结构、稳定市场,提高市场有效的重要性已经普遍被认同.到目前为止,金融市场微观结构理论的发展大致经历了两个阶段: 相似文献
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Volatility swaps and volatility options are financial products written on discretely sampled realized variance. Actively traded in over-the-counter markets, these products are often priced by continuously sampled approximations to simplify the computations. This paper presents an analytical approach to efficiently and accurately price discretely sampled volatility derivatives, under a general stochastic volatility model. We first obtain an accurate approximation for the characteristic function of the discretely sampled realized variance. This characteristic function is then applied to price discrete volatility derivatives through either semi-analytical pricing formulae (up to an inverse Fourier transform) or an efficient Fourier-cosine series method. Numerical experiments show that our approximation is more accurate in comparison to the approximations in the literature. We remark that although discretely sampled variance swaps and options are usually more expensive than their continuously sampled counterparts, discretely sampled volatility swaps are more prone to be cheaper than the continuously sampled counterparts. An analysis is then provided to explain why this is the case in general for realistic contract specifications and reasonable model parameters. 相似文献
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《International Journal of Forecasting》2023,39(3):1221-1237
In this paper, we effectively extend the Realized-EGARCH (R-EGARCH) framework by allowing the conditional variance process to incorporate exogenous variates related to different observable features of Realized Variance (RV). The choice of these features is well motivated by recent studies on the Heterogeneous Autoregressive (HAR) class of models. We examine several specifications nested within our augmented R-EGARCH representation, and we find that they perform significantly better than the standard R-EGARCH model. These specifications incorporate realized semi-variances, heterogeneous long-memory effects of RV, and jump variation. We also show that the performance of our framework further improves if we allow for skewness and excess kurtosis for asset return innovations, instead of assuming normality. This can better filter the true distribution of the return innovations, and thus can more accurately estimate their effects on the variance process. This is also supported by a Monte Carlo simulation exercise executed in the paper. 相似文献
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本文从理论上证明了以下的定理：当度量序列持久性的方差比大于1时,BN周期成分的符号应予反号,否则,不予反号。为验证定理,我们设计Monter-Carlo仿真实验,其结果也证实了理论定理。本文的理论结论和仿真结果,第一次从持久性的角度解释了文献中的“周期之谜”。在此基础上,我们应用BN周期分解方法和本文的理论结果,分解我国GDP的BN周期。结果显示,由于我国GDP的方差比为1.97,所以周期成分的符号应反号,由此形成我国GDP的真实周期。样本期内（2000Q2-2011Q4）我国共经历了六轮周期,这六轮周期不仅与我国实际经济增长的波动基本一致,而且与我国所遭遇的主要冲击相吻合;我国经济增长的周期具有波动幅度较大、持续时间又存在明显差异的特征。基于这些特征,本文认为,减弱我国经济增长的周期性波动,应成为宏观调控的重要内容。 相似文献
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The main objective of this paper is to propose a feasible, model free estimator of the predictive density of integrated volatility. In this sense, we extend recent papers by Andersen et al. [Andersen, T.G., Bollerslev, T., Diebold, F.X., Labys, P., 2003. Modelling and forecasting realized volatility. Econometrica 71, 579–626], and by Andersen et al. [Andersen, T.G., Bollerslev, T., Meddahi, N., 2004. Analytic evaluation of volatility forecasts. International Economic Review 45, 1079–1110; Andersen, T.G., Bollerslev, T., Meddahi, N., 2005. Correcting the errors: Volatility forecast evaluation using high frequency data and realized volatilities. Econometrica 73, 279–296], who address the issue of pointwise prediction of volatility via ARMA models, based on the use of realized volatility. Our approach is to use a realized volatility measure to construct a non-parametric (kernel) estimator of the predictive density of daily volatility. We show that, by choosing an appropriate realized measure, one can achieve consistent estimation, even in the presence of jumps and microstructure noise in prices. More precisely, we establish that four well known realized measures, i.e. realized volatility, bipower variation, and two measures robust to microstructure noise, satisfy the conditions required for the uniform consistency of our estimator. Furthermore, we outline an alternative simulation based approach to predictive density construction. Finally, we carry out a simulation experiment in order to assess the accuracy of our estimators, and provide an empirical illustration that underscores the importance of using microstructure robust measures when using high frequency data. 相似文献
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高频数据波动率建模——基于厚尾分布的Realized GARCH模型 总被引：1，自引：0，他引：1
"厚尾现象"是金融时间序列分布的一个普遍特征,本文将RealizedGARCH模型推广到容纳厚尾分布的情形,并将杠杆函数的幂次放松为待估参数。结果显示,使用Skewed-t分布的模型能够较好地反映收益率序列的厚尾和偏峰性质,放松的幂次参数可以给出更贴合数据的"信息冲击曲线"。引入厚尾分布亦可用改进Realized GARCH模型对实现测度的预测,其中使用标准t分布的模型给出的预测精度最高。 相似文献
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This study employs the realized GARCH (RGARCH) model to estimate the volatility of Bitcoin returns and measure the benefits of various scaled realized measures in forecasting volatility. Empirical results show that considerable price jumps occurred in the Bitcoin market, suggesting that a jump-robust realized measure is crucial to estimate Bitcoin volatility. The RGARCH model, especially the one with tri-power variation, outperforms the standard GARCH model. Additionally, the RGARCH model with jump-robust realized measures can provide steady forecasting performance. This study is timely given that the CME may release a Bitcoin option product and our results are relevant to option pricing 相似文献
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In this paper, we propose the two-component realized EGARCH (REGARCH-2C) model, which accommodates the high-frequency information and the long memory volatility through the realized measure of volatility and the component volatility structure, to forecast VIX. We obtain the risk-neutral dynamics of the REGARCH-2C model and derive the corresponding model-implied VIX formula. The parameter estimates of the REGARCH-2C model are obtained via the joint maximum likelihood estimation using observations on the returns, realized measure and VIX. Our empirical results demonstrate that the proposed REGARCH-2C model provides more accurate VIX forecasts compared to a variety of competing models, including the GARCH, GJR-GARCH, nonlinear GARCH, Heston–Nandi GARCH, EGARCH, REGARCH and two two-component GARCH models. This result is found to be robust to alternative realized measure. Our empirical evidence highlights the importance of incorporating the realized measure as well as the component volatility structure for VIX forecasting. 相似文献
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This analysis uses Twitter stock and options prices sampled at a 30 s frequency around the fake news announcement, of a bid for a controlling stake in Twitter stock, to investigate how noise trading and informed trading is disseminated into equity and option markets. We find reaction to the fake news occurred in the equity market, and the option market reacted with a delay. This differs from many analyses of actual news events, which found informed traders prefer the options market, and information from their trades then leaks into the equity market. We conclude uninformed traders, and those aware of the hoax, prefer to trade in equity over option markets. This result has implications for isolating informed trading around actual news events. 相似文献
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《International Journal of Forecasting》2020,36(2):489-506
This paper extends the joint Value-at-Risk (VaR) and expected shortfall (ES) quantile regression model of Taylor (2019), by incorporating a realized measure to drive the tail risk dynamics, as a potentially more efficient driver than daily returns. Furthermore, we propose and test a new model for the dynamics of the ES component. Both a maximum likelihood and an adaptive Bayesian Markov chain Monte Carlo method are employed for estimation, the properties of which are compared in a simulation study. The results favour the Bayesian approach, which is employed subsequently in a forecasting study of seven financial market indices. The proposed models are compared to a range of parametric, non-parametric and semi-parametric competitors, including GARCH, realized GARCH, the extreme value theory method and the joint VaR and ES models of Taylor (2019), in terms of the accuracy of one-day-ahead VaR and ES forecasts, over a long forecast sample period that includes the global financial crisis in 2007–2008. The results are favorable for the proposed models incorporating a realized measure, especially when employing the sub-sampled realized variance and the sub-sampled realized range. 相似文献